Blue-chip momentum winners

My classic blue-chip momentum screen has outperformed over the past three months but, in a falling market, that has still been synonymous with losses. Indeed, the 3.7 per cent fall in the 10 'long' stocks was hardly something to crow about even when compared with the 4.4 per cent fall by the FTSE 100. The screen was on best behaviour, though, because the 'shorts' (stocks that are meant to fall) did worse than the index, dropping a hearty 8.1 per cent. This contrasts with the experience over the past five years when the 'shorts' have actually outperformed the 'longs', while both have substantially outperformed the FTSE 100.